Some actors have not chosen to change their name but were forced to by their union. In the US, only one person may be registered under a specific title. Like Michael Keaton, for example, whose given name was already taken by someone else.
Sure, a lot of celebs change their names because it sounds way cooler. For example, Prince is a killer pop idol name and who wouldn't want the last name Phoenix? Not Joaquin. Then there's Carmen Electra. Although changing your name because it sounds good is cool, remember some really do change theirs because they have to. When you think about it, it makes sense. There can't be two people in Hollywood with the same name. Google would be so confused!
But some countries don't have the luxury the US, Canada, the UK, and other countries do. In Taiwan, it is nearly illegal under most circumstances to change your name. In Brazil, the most common reason to change your name is if you've changed your gender, other than that, good luck changing it. You'd be surprised how many countries strictly prohibit name changes and how many only allow it after extensive judicial approval.
The odd thing is the countries that allow the name changes so easily, like the US, rarely if ever change the ethnicity of their name. You'll notice that people, especially celebs, change their name to make it appear more "American" or "English." But English-based names are rarely, rarely changed to appear of a different origin.